/// <summary>
///
/// </summary>
/// <param name="spotT"></param>
/// <param name="priceT"></param>
/// <param name="myZero"></param>
/// <param name="myDiv"></param>
public void MakeTheta(ITree spotT, Pricer priceT, ZeroCurve myZero, DivList myDiv)
{
SetParam(spotT, priceT);
var type = spotT.GetType();
ITree t1 = (ITree)Activator.CreateInstance(type);
ITree t2 = (ITree)Activator.CreateInstance(type);
t1.Tau = Tau;
t1.Gridsteps = Gridsteps;
t1.Sig = Sig;
t1.Spot = Spot;
t1.MakeGrid(myZero, myDiv);
priceT.MakeGrid(t1);
double p1 = priceT.Price();
DivList shiftDiv = new DivList {
Divpoints = myDiv.Divpoints
};
shiftDiv.MakeArrays();
for (int idx = 0; idx < myDiv.Divpoints; idx++)
{
shiftDiv.SetD(idx, myDiv.GetD(idx), myDiv.GetT(idx) - 1 / 365.0);
}
double t = Tau - 1.00 / 365.00;
t2.Tau = t;
t2.Gridsteps = Gridsteps;
t2.Sig = Sig;
t2.Spot = Spot;
t2.MakeGrid(myZero, shiftDiv);
priceT.MakeGrid(t2);
double p2 = priceT.Price();
Theta = (p2 - p1);
}
/// <summary>
///
/// </summary>
/// <param name="today"></param>
/// <param name="expiry"></param>
/// <param name="dates"></param>
/// <param name="amts"></param>
/// <returns></returns>
/// <exception cref="Exception"></exception>
public DivList UnpackDiv(DateTime today, DateTime expiry, DateTime[] dates, double[] amts)
{
int n1 = dates.Length;
int n2 = dates.Length;
double timetoexp = expiry.Subtract(today).Days / 365.0;
if (n1 != n2)
{
throw new Exception("Rate ranges must be of the same length");
}
var dl = new DivList {
Divpoints = n1
};
dl.MakeArrays();
for (int idx = 0; idx < n1; idx++)
{
double time = dates[idx].Subtract(today).Days / 365.0;
double rate = amts[idx];
if (time > 0 & time <= timetoexp)
{
dl.SetD(_kdx, rate, time);
_kdx++;
}
}
return(dl);
}
